HLIT Options History — December 2013

In December 2013, HLIT traded between $6.66 and $7.45. ATM implied volatility averaged 28.6%, placing in the 16.4% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded below realized volatility by 1.1% (HV 20d: 29.7%). Max pain ranged from $7.50 to $7.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.04.

Notable Days

  • 2013-12-20: Highest Volume — 40 contracts
  • 2013-12-10: Largest IV spike — 34.7% change
  • 2013-12-10: Highest IV Rank — 27.6%
  • 2013-12-24: Largest Expected Move — 10.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.15$6.66$7.45$7.33$7.38
Max Pain$7.50$7.50$7.50$7.50$7.50
ATM IV28.6%23.8%38.4%23.8%29.3%
Expected Move7.9%6.5%10.0%6.8%8.4%
HV 20d29.7%24.7%35.1%26.2%29.6%
HV 60d26.0%23.7%28.2%23.7%27.8%
IV Rank16.4%10.9%27.6%10.9%17.2%
IV Percentile29.7%7.5%73.4%7.5%34.5%
Term Structure4.7%-0.8%10.8%9.2%5.8%
VWIV28.3%23.8%32.4%27.9%32.4%
Skew 25d1.6%-46.1%38.2%-46.1%4.2%
Skew 10d-1.4%-78.9%60.2%-74.6%6.7%
Call IV 25d39.0%25.8%70.1%70.1%26.4%
Put IV 25d40.5%22.6%86.5%24.1%30.7%
Bid-Ask Spread %63.7016.53116.65106.9992.22
Gamma HHI0.840.780.890.870.85
Net GEX20.8K9.6K33.6K30.3K23.0K
Net DEX-162.2K-320.4K-19.4K-320.4K-183.3K
Net VEX-1.1K-1.5K-669-1.5K-974
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.040.000.330.000.00
Total Volume7040200
Total OI1,622.3331,4041,7221,6911,417

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-12-02$7.33$7.5023.8%6.8%26.2%10.9%0.0%-46.1%9.2%30.3K-320.4K-1.5K0.00106.99N/AN/A2001,492199
2013-12-03$7.23$7.5025.5%7.3%25.3%12.9%0.0%-12.1%0.2%28.3K-253.2K-1.4K0.00116.65N/AN/A001,512199
2013-12-04$7.31$7.5029.3%8.4%25.4%17.3%0.0%-10.0%4.7%26.7K-262.6K-1.4K0.00110.64N/AN/A0111,512199
2013-12-05$7.33$7.5028.1%8.0%25.4%15.8%0.0%-40.3%0.7%28.2K-277.8K-1.4K0.00104.61N/AN/A001,512210
2013-12-06$7.38$7.5024.6%8.0%24.7%11.8%27.9%-33.8%4.0%33.6K-295.5K-1.5K0.0034.76N/AN/A011,512210
2013-12-09$7.21$7.5028.5%7.4%25.2%16.3%29.0%8.0%3.3%28.7K-224.1K-1.3K0.0041.87N/AN/A2001,512210
2013-12-10$7.08$7.5038.4%7.1%25.9%27.6%0.0%8.3%5.5%24.9K-181.9K-1.2K0.0048.16N/AN/A001,492210
2013-12-11$6.96$7.5034.8%6.5%26.5%23.5%0.0%5.0%7.9%19.1K-75.8K-9350.0057.00N/AN/A801,492210
2013-12-12$6.66$7.5027.1%7.8%29.9%14.7%0.0%10.9%1.5%11.5K-40.4K-7840.0053.30N/AN/A001,498210
2013-12-13$6.67$7.5026.0%7.5%30.0%13.5%0.0%27.3%7.1%10.7K-22.0K-6980.0018.37N/AN/A1401,498210
2013-12-16$6.77$7.5025.2%7.2%30.1%12.5%0.0%1.3%7.9%12.6K-26.3K-6770.0018.78N/AN/A001,497210
2013-12-17$6.82$7.5024.5%7.0%29.8%11.8%23.8%2.2%9.0%9.6K-19.4K-6690.0016.75N/AN/A2001,497210
2013-12-18$6.88$7.5025.8%7.4%30.1%13.2%0.0%2.2%9.9%11.1K-32.9K-7270.0017.91N/AN/A001,497210
2013-12-19$6.90$7.5024.7%7.1%30.1%11.9%0.0%2.7%10.8%11.2K-30.0K-7230.0016.53N/AN/A001,487210
2013-12-20$7.25$7.5032.3%9.3%35.1%20.6%32.4%5.3%-0.4%27.9K-211.1K-1.0K0.3347.18N/AN/A30101,487210
2013-12-23$7.32$7.5029.5%8.5%35.0%17.5%0.0%36.9%2.9%18.7K-155.4K-1.0K0.0090.01N/AN/A001,184220
2013-12-24$7.38$7.5034.9%10.0%35.1%23.6%0.0%5.9%-0.8%17.2K-192.1K-1.1K0.0083.51N/AN/A001,184220
2013-12-26$7.42$7.5031.4%9.0%34.5%19.7%0.0%7.9%3.2%19.6K-193.9K-1.0K0.0089.90N/AN/A901,184220
2013-12-27$7.45$7.5030.6%8.8%34.4%18.7%0.0%38.2%3.1%20.7K-203.7K-1.0K0.0081.46N/AN/A001,193220
2013-12-30$7.37$7.5026.2%7.5%34.4%13.7%0.0%8.4%4.0%23.3K-205.3K-9930.0091.01N/AN/A401,193220
2013-12-31$7.38$7.5029.3%8.4%29.6%17.2%0.0%4.2%5.8%23.0K-183.3K-9740.0092.22N/AN/A001,197220